RINA Systems has released Portfolio Maestro software. Portfolio Maestro objective is to provide traders with a powerful flexible trading system research and trading environment that is data and broker independent. In addition, Portfolio Maestro can be customized to integrate with your existing technology infrastructure.

Automated environment to backtest multiple strategies on a large volume of symbols across a range of strategy inputs. Successful quantitative hedge funds employ a variety of strategies (known as multi-strategy). They cover a variety of asset classes such as equities, futures, and foreign exchange and a range of different core strategies such as pairs trading, trend following, mean reversion, and inter-market strategies. Until now a commercial tool to test multiple strategies on portfolios that span across a variety of time frames (including intra-day), groups of symbols, and diverse asset classes in a data and broker independent platform was not available. Portfolio Maestro changes all of that by delivering unparalleled portfolio backtesting capabilities designed to meet the extensive requirements of professional investors and traders.

When researching a trading methodology it is important to be able to see how a strategy performs in comparison with other strategies in the portfolio over time. It is also important to have clear metrics on the performance of the overall portfolio. No other platform enables the range of portfolio testing that is found in Portfolio Maestro where you can:

• Create custom Symbol Lists of stocks, bonds, or foreign exchange for research and trading based on asset class, index composition, or any other user-defined criteria
• Apply one or many strategies to the Symbol Lists
• Test on a single or range of parameter settings for the strategies
• Test any number of strategies or symbols lists across multi time frames (bar intervals) within the same portfolio
• Run all of the above together within a portfolio simultaneously

This unparalleled flexibility is made possible by the creation of System Groups. Only found in Portfolio Maestro, this unique tier represents the matching of one or multiple buy and sell rules (strategy) with one or more user defined symbol lists with a given set of parameters and time interval settings. By using a modular design, Portfolio Maestro makes it easy to create and test your own multi-strategy portfolio.

Integrated money and risk management during portfolio testing and signal generation for more realistic portfolio simulations and better real time trading.

Once a profitable trading idea has been conceptualized and implemented one still needs to determine how much capital to allocate to each trade and make sure that the strategy can be implemented given real world capital constraints. Moreover, allocating even modestly different amounts of the portfolios risk per trade can make the difference between a dramatic compounding of equity, moderate growth, or potential disaster in the case of over-leveraging. In addition to considerations of how much to risk per trade, portfolio managers must deal with real world capital constraints that can limit which trades they can take or how many positions can reasonably be funded within a portfolio simultaneously. Portfolio Maestro gives you consummate flexibility in testing your money and risk management rules on your hypothetical portfolio before implementing your trading strategies and then to continue to manage that risk once a system has been implemented.

Some of Portfolio Maestro’s powerful capabilities in the area of money management and risk constraints include the ability to:

• Define your own variables to determine the percent of portfolio capital risked per trade
• Design your own money management strategies using .NET DLLs
• Allocate different amounts of capital per trade in different trading systems
• Limit the leverage across the portfolio
• Limit the margin as a percent of portfolio equity
• Limit the number of concurrent positions within a portfolio.

These are just a few examples of how you can implement money and risk management in Portfolio Maestro. With its flexible programming environment the options are nearly limitless.

Flexible environment for implementing trading systems. Finding quantitative strategies is hard enough without facing limitations imposed by your research environment. That is why we designed Portfolio Maestro to be as accommodating as possible to let you implement as many strategies as you can imagine. While many testing environments are chart centric, Portfolio Maestro allows you to implement strategies referencing a single symbol’s price history, using multiple reference series, or even cross-sectionally by using ranking formula(s) in your strategy logic. The backtesting and trading capabilities of Portfolio Maestro are chart independent enhancing both backtesting speed and agility at the same time.

In our experience serious quantitative traders want a flexible development environment. To meet this objective we have opened up Portfolio Maestro so that any strategy can be coded in a .NET environment (such as VB.NET or C#).This has the advantage of not only being more adaptable than rigid proprietary scripting languages, but it is more easily supported since languages such as Visual Basic and C have the largest pools of developers worldwide. Here are a few examples of strategies that can be developed using Portfolio Maestro in combination with .NET languages:

• Rank 1000 stocks based on percent return over the last 100 days and then buy stocks making new 20-day highs on above average volume ranked in the top deciles based on the 100 day return rank.
• Apply X% of portfolio assets as a portfolio Value-at-Risk for 95% confidence interval (or other risk measure) to be used as a constraint on the capital for a trend following strategy on a commodities symbol list. Test various values of X using optimization.

Industry standard reporting metrics. Portfolio reporting for quantitative strategies has been our focus for more than a dozen years. Our reports have become the standard for trading system backtesting and have even been incorporated into other popular backtesting programs. However, gaining on our experience working with professionals and our own observations on which metrics are most important for trading system analysis, we decided to design the performance reporting capabilities of Portfolio Maestro from the bottom up.

We have designed our reports to let you analyze your trading strategies with the same level of detail and rigor that a potential investor would evaluate a hedge fund. In addition, our reports are designed to be able to easily produce "pro-forma" hypothetical results once your strategy is ready for roll-out. Performance reporting includes:

• Trade based statistics
• Return based statistics such as Sharpe Ratio, peak to trough drawdown, CAGR and CMGR, and distribution of returns.
• Detailed trade lists including descriptions of trades with the portfolio including the strategy that generated the trade as well as the money management used to determine positions size
• Interactive performance graphs with logical categories of analysis
• Easily exportable chart data for use in other programs or reports.

Broker and data independent platform for strategy research and implementation. Portfolio managers want to be able to use the data of their choice for research and trading and select the brokers with which they want to do business. At a time when most backtesting platforms are becoming increasingly more proprietary, tied to specific brokerage operations or data feeds, Portfolio Maestro provides an alternative. Our vision is to provide professional quantitative traders with an open and flexible backtesting and trading environment that places minimal restrictions on which data to use for research and with which brokerage firms to automate trading.

Using Portfolio Maestro you will:

• Trade more profitably and develop a better edge in the market
• Have the capability to develop any strategy or use the data sources you need
• Save time for testing and research
• Know your strategy performance on portfolios using real trading assumptions
• Trade with more confidence